Tag Archives: VaR

Define the normal linear Value-at-Risk (VaR) model and apply the model to calculate the 1% 10-day total systematic VaR for this portfolio. Interpret your result and discuss how it changes with the holding period and significance level.

Consider a UK fund currently holding an international equity portfolio with the following characteristics: £1m invested in UK stocks in the FTSE 100 index, with a % portfolio beta relative to the FTSE 100 of 1.5 £2m invested in European stocks in the STOXX 50 index, with a % portfolio beta relative to the STOXX50 […]